1) Look for open boxes in your tobacconist's humidor that have been there for a while. Cigars are often shipped "wet" to retard drying, and should stabilize for a week or more in a proper environment before smoking. Grab them too soon, and they may have only stabilized on the exposed side, causing uneven burning. (You can compensate just as easily by putting your purchases in your own humidor for a week before smoking.)
2) Squeeze the cigar gently. It should "give" but not be too soft. Don't roll it in your fingers, as some suggest - this can damage the wrapper. Squeeze gently up and down the body to look for lumps or soft spots. A good cigar should have neither. Remember to be gently. Even if you don't buy that cigar somebody else might - don't damage it!
3) inspect the wrapper for "odd" discolorations, looseness, or cracks. The wrapper should be smooth and tight, and not damaged on either end. Smaller veins are good to watch for, as these often smoke smoother, but compare your single to other cigars with the same wrapper! Veins appear differently in different wrapper types.
4) Look at the tobacco in the exposed end. Some variation of color is normal, as most cigars are made from a blend of tobaccos. What you're watching for is extreme or abrupt color changes. This sometimes means an inferior leaf was used, or the leaves weren't laid together properly in the bunching process. Off tastes and uneven burns will often be the result.